机构地区: 上海交通大学安泰经济与管理学院管理学院
出 处: 《决策借鉴》 2002年第5期75-77,共3页
摘 要: 指出传统的均值 -方差决策规则在度量风险方面的不足 ,认为风险与投资收益的偏差有关 ;提出了一种新的风险度量指标———风险组合偏差 ,同时提出了一种能够根据风险大小进行投资的决策指标———风险调整收益 ,并举例说明了二者在分析投资项目时的应用。 The article identified the shortcomings of the traditional mean-variance decision rule in the measurement of risk. The author thinks that risk is related to the skewness of investments' return, and proposes a new risk measurement-risk combination windage, and a new investment decision measurement, risk-adjusted-return, which can be adjusted by risk. Finally, an example is used to illustrate the application of the two measurements in investment analysis.
关 键 词: 风险 正偏差 负偏差 风险组合偏差 风险调整收益
领 域: [经济管理]